The extent of the small cap effect has varied over time, with quite long periods of over-performance and under-performance compared to large caps, which makes it difficult to assemble enough data to provide a definitive proof or disproof.

Given that the biggest weakness strategies using the small cap effect is that the real out-performance is likely to be offset by trading costs, perhaps the best advice to investors is to regard it as most relevant when constructing a portfolio of shares that they are likely to hold for the long term.